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Capturing the Value Premium - Global Evidence from a Fair Value-Based Investment Strategy

Woltering, René-Ojas, Weis, Christian, Schindler, Felix and Sebastian, Steffen P. (2017) Capturing the Value Premium - Global Evidence from a Fair Value-Based Investment Strategy. Journal of Banking and Finance.

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Other URL: https://doi.org/10.1016/j.jbankfin.2017.06.009


Abstract

This paper examines the risk premium of value stocks within a global investment strategy framework. We test whether absolute or relative mispricing is better suited to capturing the global value premium by using fair value-based net asset values (NAVs) as our proxies for fundamental value. We find that investing in the most underpriced stocks relative to the average ratio of price to fundamental ...

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Item type:Article
Date:12 August 2017
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)
Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)
Identification Number:
ValueType
10.1016/j.jbankfin.2017.06.009DOI
Keywords:Value premium Global diversification Net asset value Investment strategy
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:36798
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